Pubbl/distr/stampa	New York, : Springer, 2012, c2013
Descrizione fisica	1 online resource (xxxiii, 560 pages) : illustrations, portraits
Disciplina	621.382 621.382/2
Altri autori (Persone)	ChenXiaohong SwansonNorman R
Soggetto topico	Econometrics - Asymptotic theory Causation Prediction theory
ISBN	1-4614-1653-1
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Improving U.S. GDP measurement : a forecast combination perspective / S. Boragan Aruoba ... [et al.] -- Identification without exogeneity under equiconfounding in linear recursive structural systems / Karim Chalak -- Optimizing robust conditional moment tests : an estimating function approach / Yi-Ting Chen and Chung-Ming Kuan -- Asymptotic properties of penalized M estimators with time series observations / Xiaohong Chen and Zhipeng Liao -- A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance / Valentina Corradi and Norman R. Swanson -- New directions in information matrix testing : eigenspectrum tests / Richard M. Golden ... [et al.] -- Bayesian analysis and model selection of GARCH models with additive jumps / Christian Haefke and Leopold Sogner -- Hal White : time at MIT and early days of research / Jerry Hausman -- Open-model forecast-error taxonomies / David F. Hendry and Grayham E. Mizon -- Heavy-tail and plug-in robust consistent conditional moment tests of functional form / Jonathan B. Hill Nonparametric identification in dynamic nonseparable panel data models / Stefan Hoderlein and Halbert White -- Consistent model selection : over rolling windows / Atsushi Inoue, Barbara Rossi and Lu Jin -- Estimating misspecified moment inequality models / Hiroaki Kaido and Halbert White -- Model adequacy checks for discrete choice dynamic models / Igor Kheifets and Carlos Velasco -- On long-run covariance matrix estimation with the truncated flat kernel / Chang-Ching Lin and Shinichi Sataka -- Predictability and specification in models of exchange rate determination / Esfandiar Maasoumi and Levent Bulut -- Thirty years of heteroskedsticity-robust inference / James G. MacKinnon -- Smooth constrained frontier analysis / Christopher F. Parmeter and Jeffrey S. Racine -- No VaS transformations : flexible inference for volatility forecasting / Dimitris N. Politis and Dimitrios D. Thomakos -- Regression efficacy and the curse of dimensionality / Maxwell B. Stinchcombe and David M. Drukker.
Record Nr.	UNINA-9910438072503321

Autore	Swanson Norman R
Pubbl/distr/stampa	Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021
Descrizione fisica	1 online resource (196 p.)
Soggetto topico	Economics, Finance, Business and Management
Soggetto non controllato	bivariate GARCH combining forecasts cross-sectional stock returns dynamic analysis of securities forecasting high-frequency high-frequency data integrated volatility intraday returns Japanese candlestick jumps Kosiński's number level, slope, and curvature of the yield curve log periodogram regression long-range dependence maximum diversification Minimum variance portfolio Nelson-Siegel factors ordered fuzzy number oriented fuzzy number P 500 portfolio selection principal components realized measures realized skewness regularization risk S& shrinkage signed jump variation smoothed periodogram subsampling supervised factor models volatility
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Record Nr.	UNINA-9910557897503321